Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0027
Annualized Std Dev 0.1459
Annualized Sharpe (Rf=0%) -0.0186

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1356
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0036
Maximum 0.1285
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0092
Skewness -1.0463
Kurtosis 39.9156

Downside Risk

Close
Semi Deviation 0.0068
Gain Deviation 0.0068
Loss Deviation 0.0082
Downside Deviation (MAR=210%) 0.0118
Downside Deviation (Rf=0%) 0.0068
Downside Deviation (0%) 0.0068
Maximum Drawdown 0.4746
Historical VaR (95%) -0.0114
Historical ES (95%) -0.0213
Modified VaR (95%) -0.0102
Modified ES (95%) -0.0102
From Trough To Depth Length To Trough Recovery
2013-05-02 2020-03-18 NA -0.4746 1986 1732 NA
2001-03-05 2008-10-10 2010-04-20 -0.4228 2295 1913 382
1999-02-04 1999-12-27 2001-01-17 -0.1698 493 226 267
2010-11-08 2011-10-04 2012-07-16 -0.1586 425 229 196
2010-05-04 2010-05-26 2010-07-26 -0.0914 58 17 41

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1 1 2 -1 -1 1 0 1 1 -1 0 -1.1 2.8
2000 1.1 1.1 1.1 0 0 1 0 0 1 0 2.1 0 7.6
2001 1.1 2.6 0.9 0.8 0.9 -0.3 -0.5 0.3 0.8 1.7 0 -0.2 8.4
2002 0.3 -0.2 -0.3 0.7 0.5 0.5 -0.2 0.7 0.7 1.6 0.7 0.9 6
2003 -0.5 0 1 0.2 0.6 0.3 0 -0.2 1.5 1.4 -0.5 0.5 4.4
2004 -0.3 -0.5 0 0 0.3 0.2 0 -0.3 -0.3 0.5 0.8 0.3 0.7
2005 -0.6 0.3 1 0.5 0.2 -0.8 0.5 0.3 -0.6 0.2 -2.6 -0.5 -2.3
2006 -0.2 0.2 -0.5 -0.2 -0.2 0.2 0.5 0 0.2 0.2 0.3 0 0.5
2007 0.2 -0.3 -0.2 0.3 -0.7 0.7 -0.2 0 0.6 -0.3 0.5 1.1 1.7
2008 0.2 -0.2 0.5 0.5 0.3 0 0.2 -0.7 0.6 1.1 -3.9 -0.6 -2.1
2009 1.2 1.2 0.8 0.6 0.9 0 1.5 -1 0.3 -1.5 0.6 0.6 5.3
2010 2 0.5 -0.2 0.3 1.3 0.2 0.6 0.1 0.4 0.3 0 1.2 6.8
2011 0.3 0.6 0.9 0.1 0.4 1.3 1.8 -0.1 -1.6 -0.1 1.2 -1 3.8
2012 1 -0.1 -0.1 0.1 -0.7 0.1 -0.1 0.6 0.5 1.1 -0.1 0.8 3.1
2013 1.1 0.4 0.4 0.4 -4.3 1.5 -1.1 -0.2 -0.3 0.2 0 -0.3 -2.3
2014 -0.6 -0.5 -0.2 0.8 0.2 -0.2 -0.5 0.5 -0.3 0.3 -0.2 0.8 0.1
2015 0.2 0 0 0.3 1.1 1.5 0 1 0 1.5 1.4 0.2 7.4
2016 -0.2 1.3 0.3 0.7 0.5 0 -0.3 0 0.5 -0.2 -0.7 0.3 2.3
2017 0.7 0.3 0.7 -0.2 -0.2 0.8 0.5 0 0 0.5 0.7 0.3 4.2
2018 0.7 -0.2 0.7 0.3 -0.2 0.2 -0.2 0 1.4 1 0.9 -1.2 3.6
2019 0.5 0.9 0.7 1.1 -0.5 0.3 0 -0.3 0.5 0.7 0 -0.6 3.2
2020 -0.6 -3.4 -4.8 0 1.2 0.9 0.7 3.9 1.2 -0.7 1.2 -1.8 -2.4
2021 0.7 0.8 -0.3 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  6.5  SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  6.62 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  6.56 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  6.62 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  6.56 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  6.5  SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart